Provisão em crédito nos bancos de varejo : a aplicação de um modelo estatístico para análise de risco de pessoas jurídicas
| Autor: | Lima, Marco Antonio Ferreira |
|---|---|
| Přispěvatelé: | Segreti, João Bosco, CPF:04595394853, Luporini, Carlos Eduardo de Mori, CPF:36955868853, Parisi, Claudio, CPF:14742962893 |
| Jazyk: | portugalština |
| Rok vydání: | 2003 |
| Předmět: | |
| Zdroj: | Biblioteca Digital de Teses e Dissertações do FECAP Fundação Aramando Álvares Penteado (FECAP) instacron:FECAP |
| Popis: | O estudo trata da mensuração do risco de crédito, com o objetivo de indicar o valor a provisionar na conta de créditos de liquidação duvidosa. Parte da seguinte proposição: clientes com perfis semelhantes, de bancos de varejo concorrentes, ao terem seus riscos de crédito avaliados por método quantitativo, recebem aproximadamente a mesma classificação. Nesse contexto, as distribuições de provisão em crédito desses bancos seriam aproximadamente homogêneas. A análise emprega técnica estatística robusta para o teste da existência de homogeneidade, tendo como fonte dados trimestrais disponibilizados ao público pelo Bacen; referentes ao período de março de 2000 a dezembro de 2002. O trabalho também sugere que empréstimos de curto prazo, destinados ao capital de giro, constantes em carteiras de bancos de varejo, sejam concedidos mediante análise de risco de crédito fundamentadas em métodos quantitativos. Tais bancos têm alta demanda por empréstimos dessa natureza, o que exige agilidade e padrões de decisão uniformes, procedimentos facilitados por métodos científicos de análise. Em oposição, o processo decisório julgamental é moroso, dependente da experiência de um grande (e oneroso) corpo de analistas. O modelo proposto utiliza-se de dados contábeis para explicar o risco de crédito por meio de metodologia estatística. Os dados para modelagem são provenientes de amostra de 500 empresas, com demonstrativos contábeis relativos aos anos de 1999, 2000 e 2001, além de dados referentes ao comportamento nos empréstimos concedidos durante o ano de 2002. As probabilidades de inadimplência calculadas pelo modelo são então indicadoras para os valores a serem provisionados, conforme orientações da Resolução CMN 2.682. This project discusses credit risk rating with the purpose of determining provisions for doubtful credit. It begins with the following proposition: clients with the same characteristics get more or less the same ratings when evaluated by retail banks using quantitative methods. Within this context, credit provision distributions of these banks would be more or less homogeneous. The analysis utilizes robust statistical technique for testing the existence of homogeneity, and the analyzed data came from quarterly statements from March 2000 to December 2002 published by Banco Central do Brasil (Brazilian Central Bank). This work also suggests that the retail banks' credit portfolios of short-term loans destined to current use be granted through risk credit analysis based on quantitative methods. Those banks have a high demand for this kind of loans, and they should utilize scientific methods of analysis in order to rate all loans by the same standards and through a swift process. Unlike the scientific method, the judgmental method is a slow one, for it depends on the experience of a large (and expensive) group of analysts. The model suggested by this work was developed through statistical analyses that explain credit risk by financial statements and credit behavior data. These data comprise 500 firms, their financial performance in the years 1999, 2000 and 2001, and their credit behavior relative to loans granted in 2002. The default probabilities calculated by the model should set the basic pattern for the provisions for doubtful credit in accordance with Resolução CMN 2.682 (National Monetary Council Statement # 2.682) This project discusses credit risk rating with the purpose of determining provisions for doubtful credit. It begins with the following proposition: clients with the same characteristics get more or less the same ratings when evaluated by retail banks using quantitative methods. Within this context, credit provision distributions of these banks would be more or less homogeneous. The analysis utilizes robust statistical technique for testing the existence of homogeneity, and the analyzed data came from quarterly statements from March 2000 to December 2002 published by Banco Central do Brasil (Brazilian Central Bank). This work also suggests that the retail banks' credit portfolios of short-term loans destined to current use be granted through risk credit analysis based on quantitative methods. Those banks have a high demand for this kind of loans, and they should utilize scientific methods of analysis in order to rate all loans by the same standards and through a swift process. Unlike the scientific method, the judgmental method is a slow one, for it depends on the experience of a large (and expensive) group of analysts. The model suggested by this work was developed through statistical analyses that explain credit risk by financial statements and credit behavior data. These data comprise 500 firms, their financial performance in the years 1999, 2000 and 2001, and their credit behavior relative to loans granted in 2002. The default probabilities calculated by the model should set the basic pattern for the provisions for doubtful credit in accordance with Resolução CMN 2.682 (National Monetary Council Statement # 2.682) |
| Databáze: | OpenAIRE |
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